Multiple protocol trading system

ABSTRACT

A multi-protocol trading system in which traders preferring different trading protocols may coexist within the same system, and access the same liquidity pool, while maintaining their trading rule preferences. The system supports two protocol preferences: a workup preference and a FIFO preference, and includes a single integrated order book that stores orders received from both workup and FIFO traders. Received orders are matched against orders in the order book in accordance with a FIFO and/or workup protocol, as a function of preferences selected by the traders and/or the system operator. Alternatively, the system includes a pair of order books, a workup order book and a FIFO order book. Customers submit linked orders having a workup leg and a FIFO leg which may be matched against the workup and/or FIFO order books, as a function of preferences selected by the traders and/or the system operator.

CROSS REFERENCE TO RELATED APPLICATIONS

The present application is a divisional of application Ser. No.11/242,821, filed Oct. 3, 2005, the entire contents of which areincorporated herein by reference.

FIELD OF THE INVENTION

The present invention relates to a system and method for the managedtrading of securities or other items in accordance with more than onetrading protocol.

BACKGROUND OF THE INVENTION

Trading in the secondary market for U.S. government securities has, formany years, been conducted in accordance with a trading conventionreferred to as “workup.” This convention permits buyers and sellers to“work up” the size of a trade from an initial transaction quantity.

Over time, a number of distinct workup protocols have developed and beenimplemented by inter-dealer brokers operating in the secondary market.These include a workup protocol developed by BrokerTec USA, LLC and inuse on the BrokerTec electronic trading network (ETN). In this workupprotocol, an initial “hit” or “lift” by an aggressive trader commences aworkup and triggers a first phase, called the “private phase.” Duringthe private phase, only orders of the aggressor (if the aggressor hitsor takes all available size at the best price) and the first passiveparticipant that was hit or lifted may transact. The orders of all otherparticipants are queued but not executed.

When the private phase expires, a second workup phase begins, called the“public phase.” During the public phase, the orders of all traders areexecuted on a time priority basis. After conclusion of the public phase,the workup ends and a new bid-offer market is presented to the traders.

The BrokerTec ETN is adapted to receive different types of aggressiveorders called “Fill or Kill” (“FoK”), “Fill and Kill” (“FaK”), and “Filland Store” (“FaS”) orders. A FoK order is executed only if it can becompletely filled. Thus, for example, if a trader submits a FoK order tobuy 10M of a particular security at par and only 8M of that security isavailable at that price, no trade occurs and the order is “killed,”i.e., not entered in the system's order book.

By contrast, FaK and FaS orders may be partially filled. When a FaSorder is partially filled, the unfilled portion of the order isautomatically converted to a new order for the unfilled size and addedto the system's order book. When a FaK order is partially filled, theunfilled portion of the order is “killed” and does not result in anorder for the unfilled size being placed in the system's order bookfollowing the workup.

For purposes of illustration, the system and method described hereinwill be primarily described in connection with the BrokerTec ETN workupprotocol described above. It should be recognized, however, that theprinciples and concepts of the present invention may be applied moregenerally in connection with other workup protocols.

Workup has traditionally been justified on the ground that it providescertain benefits to market participants. These include permitting adealer to maintain the secrecy of its trading strategy by posting asmall bid or offer, rather than the true amount the dealer wishes to buyor sell. Once the quote is accepted by a second dealer, the originaldealer can increase the amount or “work up” the amount of the initialquote to the point where it reaches the amount the dealer truly desired.In this way, the dealer can avoid posting a large bid or offer in thefirst instance, which could potentially cause the market price to riseor fall significantly. The workup convention has also traditionallyallowed participants to limit expected costs or losses with respect tostale quotes. One example of this practice working to the advantage of adealer occurs when the market moves rapidly and the dealer is on thewrong side of the market price, i.e., the dealer has posted a low pricefor a security when the market price has increased for that security. Byplacing an order for an amount of the security lower than the amountactually desired, the dealer's loss on the transaction is limitedbecause the dealer is not obligated to trade any additional quantity ata disadvantageous price.

Workup pre-existed the introduction of electronic trading systems andhas long been part of standard trading in certain markets, such as thesecondary market in U.S. Treasuries. But in most other markets,first-in-first-out (“FIFO”) trading protocols are the standard model.FIFO protocols allow order queues to build based on the price and timethat orders are placed, and all orders are matched on afirst-come-first-served basis. A trader whose order initiates a trade isgiven no privileges. Some examples of markets that utilize a FIFOprotocol include NASDAQ's electronic communication networks (ECNs),Island, Supermontage, Instinet, and Brut.

As the user community of electronic systems that trade U.S. governmentsecurities has increased to include traders used to trading in othermarkets, these new users have found it difficult to accept a workupprotocol and prefer, in many cases, a FIFO protocol. At the same time,there are many users who are adherents to a workup protocol andreluctant to change to a FIFO protocol. Although it is possible tosatisfy both groups of traders by providing separate FIFO and workupmarkets for the same security, this solution is not optimal because itsplits the liquidity in the security into two distinct pools.

SUMMARY OF THE INVENTION

The present invention provides a multi-protocol trading system in whichdealers preferring different trading protocols may coexist within thesame system, and access the same liquidity pool, while maintaining theirtrading rule preferences. In a preferred embodiment, the system supportstwo trading protocol preferences.

In one preferred embodiment, the system comprises a single integratedorder book that stores orders received from traders using two differenttrading protocols. Received orders are matched against orders in theorder book as a function of the trading protocol preferences selected bythe traders and/or the system operator.

In a second preferred embodiment, the system comprises a pair of orderbooks, one for each trading protocol. Customers submit linked orderscomprising two legs, one for each protocol, which may be matched againstthe protocols' respective order books, as a function of preferencesselected by the traders and/or the system operator.

According to a first aspect of the present invention, there is providedan electronic trading system that allows for trading of a financialinstrument in accordance with a plurality of trading protocols, thesystem comprising:

a matching engine;

a first trader interface in communication with the matching enginewherein the first trader trades from within a pool of the financialinstrument utilizing a first trading protocol through the first traderinterface; and

a second trader interface in communication with the matching enginewherein the second trader trades from within a pool of the financialinstrument utilizing a second trading protocol through the second traderinterface.

Preferably, the trading protocols utilized by the traders are either theworkup protocol or the FIFO protocol.

Advantageously, an order book is maintained for each of the plurality oftrading protocols used in the system, the order books being physicallyor logically separated.

Preferably, the order books for each of the plurality of tradingprotocols are linked together and made available to users of any onetrading protocol to form a pool of the financial instrument.

Advantageously, the system may include an integrated order book that ismaintained for all of the plurality of trading protocols.

Preferably, a cancelled order in a first order book is automaticallydeleted from a second order book.

Advantageously, a filled order in a first order book is automaticallydeleted from a second order book.

Preferably, a partial fill of an order in a first order book triggersthe automatic decrease of an order in a second order book.

Advantageously, the matching engine will first look within a firstprotocol order book to fill orders entered into the trading system by atrader utilizing a first protocol and the matching engine will lookwithin a second protocol order book to fill orders not filled firstwithin the first protocol order book.

Preferably, an integrated order book is maintained for the plurality oftrading protocols.

Advantageously, a transactable received order triggers a workuptransaction if both the received order and a matching resting orderspecify a workup preference, and triggers a FIFO transaction otherwise.

Preferably, a transactable received order triggers a FIFO transaction ifboth the received order and a matching resting order specify a FIFOpreference, and triggers a workup transaction otherwise.

Advantageously, the matching engine is adapted to receive FIFO orders,workup orders and linked orders.

Preferably, FIFO orders are processed in accordance with a FIFO protocoland workup orders are processed in accordance with a workup protocol.

Advantageously, a first or second trader interface transmits a linkedorder comprising two legs indicating a protocol and the order of thelegs in the linked order specifies a protocol preference for the linkedorder.

Preferably, the linked order is processed by determining first whetherthe linked order can be matched according to a FIFO protocol and, if anysize of the linked order remains after exhausting FIFO-protocol matches,by determining whether the linked order can be matched according to aworkup protocol.

Advantageously, the linked order is processed by determining firstwhether the linked order can be matched according to a workup protocoland, if any size of the linked order remains after exhaustingworkup-protocol matches, by determining whether the linked order can bematched according to a FIFO protocol.

Preferably, the linked order can be processed according to a protocolpreference specified by a system operator.

Advantageously, when a workup is in progress, the linked order isprocessed by determining first whether the linked order can be matchedaccording to a workup protocol and, if any size of the linked orderremains after exhausting workup-protocol matches, by determining whetherthe linked order can be matched according to a FIFO protocol.

Preferably, when a workup is in progress, the linked order is processedby determining first whether the linked order can be matched accordingto a FIFP protocol and, if any size of the linked order remains afterexhausting FIFO-protocol matches, by determining whether the linkedorder can be matched according to a workup protocol.

Advantageously, if a resting order specifies a workup protocolpreference and a received order specifies a workup protocol preference,the resting and received orders are matched and a workup is commencedwithout a private phase.

According to a second aspect of the present invention, there is providedan interface to a central computer system for facilitating electronictrading of a financial instrument by a trader in accordance with aplurality of trading protocols, comprising:

a first display area for listing a first set of the financial instrumentin accordance with said trader's preferred trading protocol, the firstset of financial instrument being maintained with a first order bookcontrolled by the central computer system; and

a second display area for listing a second set of the financialinstrument in accordance with the trader's alternative trading protocol,the second set of financial instrument being maintained with a secondorder book controlled by the central computer system;

the first order book and the second order book being physically orlogically separated by the computer system and the first set of thefinancial instrument and the second set of the financial instrumentcomprising a pool of the financial instrument.

Preferably, a trader using any one of the plurality of trading protocolscan use either the first display or the second display to trade any oneof the financial instruments.

Advantageously, a trader may configure the first display area or thesecond display area to display information based on a workup protocol, aFIFO protocol, or both protocols.

Preferably, the first display area is configured according to a workupprotocol and the first display area provides a signal to a trader whenan order enters a private phase of the workup protocol.

Advantageously, the first display area is configured according to aworkup protocol and provides a signal to a trader when an order isexecuted under a FIFO protocol that exceeds an original order size.

According to a third aspect of the present invention, there is provideda method for facilitating electronic trading of a financial instrumentby a trader in accordance with a plurality of trading protocols,comprising:

receiving an order to buy or sell a quantity of said financialinstruments via a first display area for listing a first set of thefinancial instrument in accordance with said trader's preferred tradingprotocol, the trading protocol being one of the workup protocol or aFIFO protocol, the first set of financial instrument being maintainedwith a first order book controlled by the central computer system; andreceiving an order to buy or sell a quantity of the financialinstruments via a second display area for listing a second set of saidfinancial instrument in accordance with the trader's alternative tradingprotocol, the trading protocol being the other of the workup protocol orthe FIFO protocol, the second set of financial instrument beingmaintained with a second order book controlled by the central computersystem;

the first order book and the second order book being physically orlogically separated by the computer system and the first set of thefinancial instrument and the second set of the financial instrumentcomprising a pool of said financial instrument.

Preferably, the trader using any one of the plurality of tradingprotocols can use either the first display or the second display totrade any one of the financial instrument.

Advantageously, the trader may configure the first display area or thesecond display area to display information based on a workup protocol, aFIFO protocol, or both protocols.

Preferably, the first display area is configured according to a workupprotocol and the first display area provides a signal to the trader whenan order enters a private phase of the workup protocol.

Advantageously, the first display area is configured according to aworkup protocol and the first display area provides a signal to thetrader when an order is executed under a FIFO protocol that exceeds anoriginal order size.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is a block diagram depicting aspects of a preferred embodiment ofthe present system;

FIG. 2 is a block diagram depicting further aspects of the presentsystem in one preferred embodiment;

FIG. 3 is a flow diagram depicting aspects of order processing in apreferred embodiment of the present system;

FIGS. 4-5 are flow diagrams depicting further aspects of orderprocessing in two preferred embodiments of the present system;

FIG. 6 is a block diagram depicting further aspects of the presentsystem in one preferred embodiment;

FIG. 7 is a diagram schematically depicting a structure for an ordermessage in a preferred embodiment of the present system;

FIG. 8 is a flow diagram depicting aspects of order processing in onepreferred embodiment of the present system; and

FIGS. 9-16 are flow diagrams depicting further aspects of orderprocessing in seven preferred embodiments of the present system.

DETAILED DESCRIPTION OF THE INVENTION

With reference to FIG. 1, there is shown a system 100 comprising amatching engine 102 and plurality of customer terminals 104 connectedvia appropriate communication links 106. Matching engine 102 ispreferably adapted to receive orders to buy and sell securities fromterminals 104, to execute transactions in accordance with specifiedprotocols, and to communicate trade confirmation and market informationconcerning such transactions to terminals 104, as described in moredetail below.

Matching engine 102 preferably comprises one or more server computersand associated components programmed to implement the trading activityand data structures described below. Each terminal 104 may preferably bea computer workstation comprising a CPU, memory, a display, and inputdevices, such as a mouse, keyboard, or specialized trading keypad.Terminals 104 may be provided to customers for direct entry of buy andsell orders on their own behalf, or to brokers for entry of such orderson behalf of others. Communication links 106 may comprise anyappropriate arrangement of wired or wireless communication lines ornetworks, such as the Internet or dedicated communication lines.

In a preferred embodiment, the system allows a trader to designatehimself or herself as having a preference for a particular tradingprotocol. Each trader may preferably designate himself or herself as a“workup trader” or a “FIFO trader,” according to the trader'spreference. This preference is preferably entered by the trader at aterminal 104 assigned to the trader. Terminal 104 preferably stores thispreference information and applies it in generating buy and sell ordersfor transmission to matching engine 102, as described in more detailbelow. Alternatively, trading preferences may be set by an administratorat the exchange level, on a group-of-traders or firm-wide basis for alltraders associated with a given firm. Additionally, a trading preferencemay be established only with respect to a particular financialinstrument or only for a set period of time.

In the illustrative example of FIG. 1, the traders who trade viaterminals 104 a-c have designated themselves as “workup traders,” thetraders who trade via terminals 104 d-f have designated themselves as“FIFO traders,” and the traders who trade via terminals 104 g-i haveelected not to designate a preference as either workup or FIFO traders.

Turning next to FIG. 2, one preferred embodiment of an architecture fororganizing and maintaining buy and sell orders received at matchingengine 102 will now be described. In the preferred embodiment of FIG. 2,matching engine 102 maintains a single integrated order book 202 thatstores buy and sell orders received from terminals 104 and, for eachorder, whether a FIFO or workup preference has been designated for theorder. Matching engine 102 further preferably comprises a tradingprotocol filter 204 that examines each incoming order and identifies anappropriate trading protocol (e.g., FIFO or workup) to be applied inprocessing the order, as described in more detail below.

One preferred embodiment for processing trader orders in accordance withthe present invention is now described in connection with FIG. 3. Asshown in FIG. 3, a trader enters an order to buy or sell a specifiedquantity of a specified security at a specified price (step 302). Theorder is preferably entered into terminal 104 via a suitable userinterface. Terminal 104 creates an appropriate order message in apredetermined format for communication to matching engine 102 (step304). The order message preferably comprises information specifying anynecessary or desired order parameters including the trading command(e.g., bid, offer, hit, or lift), the order quantity, the order price,and any other user preferences such as preferences concerning thetrading protocol to be applied to the order (e.g., workup, FIFO, ornone), that the user may wish to specify. In a preferred embodiment, thepreference specified for the order is selected as a function of whetherthe trader is designated a workup trader or a FIFO trader. The systemmay also be adapted to permit traders to specify a FIFO or workuppreference on an order-by-order basis, particularly for those traderswho have elected not to designate themselves as either FIFO or workuptraders.

Terminal 104 preferably transmits the order message to matching engine102 via a communication link 106 (step 306). The order is thenpreferably matched against order book 202 in accordance with a protocolselected by the system operator, as described in more detail below (step308).

One preferred embodiment for matching a received customer order againstresting orders in order book 202 is described in connection with FIG. 4.In the embodiment of FIG. 4, the preferences expressed for both thereceived order and the resting order are considered in determiningwhether or not order processing should be conducted in accordance with aworkup protocol or FIFO protocol.

In particular, as shown in FIG. 4, when a buy or sell order is receivedby matching engine 102, trading protocol filter 204 determines whetherthe order is one that can transact with any resting orders in integratedorder book 202 (step 402). For example, in a preferred embodiment thatdistinguishes between passive and aggressive orders, an aggressive order(such as a FaK order) can be matched against available passive quantityon the opposite side of the market, but a passive order such as a bidcannot be matched against a passive resting offer in order book 202,even if the received bid and the resting offer are at the same price.

It should be noted, however, that the trading rules of certain markets,and particularly certain FIFO markets, do not distinguish betweenpassive and aggressive orders, and allow all orders to be matchedagainst same-priced orders on the opposite side of market. Moreover, insome markets, a trader may be permitted to selectively cause his or herpassive order to execute where the market is locked, i.e., when the bestbid and best offer prices are the same. For ease of illustration, itwill be assumed herein that both FIFO and workup trades must becommenced by an aggressive order such as a hit or lift. Those skilled inthe art, however, will recognize that the principles of the presentinvention may be applied to any system that conducts concurrent tradingaccording to any two or more trading protocols, whether or not some orall of those protocols distinguish between passive and aggressiveorders.

If the received order can transact against an order in integrated orderbook 202 (referred to as a “resting order”), trading protocol filter 204determines the preference specified for the resting order, if any (step404). If the resting order to be matched has a FIFO preference or nopreference, the transaction is conducted according to the FIFO protocol(step 406). Otherwise, if the preference specified for the resting orderto be matched is for the workup protocol, trading protocol filter 204determines the protocol preference of the received order, if any (step408). If the preference of the received order is either FIFO or nopreference, the transaction is conducted according to the FIFO protocol(step 406). If, however, the received order has a specified workuppreference, then processing of the transaction is in accordance with theworkup protocol (step 410). It will thus be recognized that theembodiment of FIG. 4 applies the workup protocol only if the receivedorder and the resting order to be matched both specify a workuppreference.

If after matching the received order against the highest-ranked restingorder there remains some quantity of the received order that has not yetbeen matched, the next order in order book 202 that can be matchedagainst this remaining quantity of the received order is preferablyretrieved from the order book and the above process is repeated.

Any remaining portion of the received order that cannot be transactedagainst order book 202 is added to the order book, to the extentpermitted by the system's protocols (step 412). Thus, for example, ifthe order is an aggressive FaS order that cannot be matched, a restingorder for the un-transacted quantity is preferably added to order book202. By contrast, if the received order is a FaK order, any remainingun-transacted quantity is “killed,” and no resting order is added toorder book 202.

Operation of the embodiment of FIG. 4 will now be illustrated by way oftwo trading examples:

Example 1

Trader A enters an order to buy 15M of financial instrument X at a priceof 100 with a workup trade preference. The order is received by matchingengine 102 and trading protocol filter 204 searches order book 202 todetermine if there is a matching resting order for Trader A's order.There is a first resting order from Trader E to sell 8M of financialinstrument X at 100 with a FIFO preference. The order book also containsa second resting order from Trader C to sell 8M of financial instrumentX at 100 with a workup preference. Matching engine 102 will match TraderA's buy order with the first resting order and the parties will executea FIFO trade for 8M of financial instrument X. The remaining 7M will bematched with the second resting order and Traders A and C will commencea workup trade.

Example 2

Trader D enters an order to buy 20M of financial instrument X at a priceof 100 with a FIFO trade preference. The order is received by matchingengine 102 and trading protocol filter 204 searches order book 202 todetermine if there is a matching resting order for Trader D's order.There is a first resting order from Trader E to sell 15M of financialinstrument X at 100 with a FIFO preference. The order book also containsa second resting order from Trader C to sell 5M of financial instrumentX at 100 with a workup preference. Matching engine 102 will first matchTrader D's buy order with Trader E's sell order and the parties willexecute a FIFO trade. The remaining 5M will be matched with Trader C asa FIFO trade.

A second embodiment for processing orders in accordance with the presentinvention is shown in FIG. 5. As in the embodiment of FIG. 4, thepreferences specified for both the resting order to be matched and thereceived order are considered in determining the trading protocol to beapplied in this preferred embodiment. In particular, as shown in FIG. 5,when a buy or sell order is received by matching engine 102, tradingprotocol filter 204 determines whether the order is one that cantransact with any resting orders in integrated order book 202 (step502).

If the submitted order can transact against an order in the order book,the system determines the preference (e.g., a FIFO preference or aworkup preference) specified for the resting order, if any (step 504).As noted, this preference may be set on a trader-by-trader basis (e.g.,designating the trader as a FIFO trader such that all orders from thattrader automatically specify a FIFO preference), or on an order-by-orderbasis.

If the resting order has a workup preference or no preference, thetransaction is preferably conducted according to the workup protocol(step 506). Otherwise, if the resting order has a FIFO preference,trading protocol filter 204 determines the protocol preference of thereceived order, if any (step 508). If the preference of the receivedorder is either workup or no preference, the transaction is preferablyconducted according to the workup protocol (step 506). If, however, thereceived order also specifies a FIFO preference, then the transaction isconducted in accordance with the FIFO protocol (step 510). It will thusbe recognized that the embodiment of FIG. 5 implements the FIFO protocolin executing a transaction only if the aggressor and the passiveparticipant both specify a FIFO preference.

If after matching the received order against the retrieved order thereremains some quantity of the received order that has not yet beenmatched, the next matchable order in order book 202 is retrieved andmatched in accordance with the process described above. Any remainingportion of the received order that cannot be transacted against orderbook 202 is added to the order book, to the extent permitted by thesystem's protocols (step 512).

A second preferred embodiment of an architecture for organizing andmaintaining buy and sell orders received at matching engine 102 will nowbe described in connection with FIG. 6. As shown in FIG. 6, in thispreferred embodiment, matching engine 102 maintains in memory twodistinct order books, a first order book 602 in which are stored ordersto be executed in accordance with a workup protocol, and a second orderbook 604 in which are stored orders to be executed in accordance with aFIFO protocol. Matching engine 102 further preferably comprises atrading protocol filter 606 that examines each incoming order andidentifies an appropriate trading protocol (e.g., FIFO or workup) to beapplied in processing the order, as described in more detail below.

In this preferred embodiment, terminals 104 are preferably adapted tocreate three distinct types of orders for transmittal to matching engine102 in response to customer input. The three types of orders arereferred to as workup orders, FIFO orders, and linked orders. A workuporder is an order that the customer wishes to have matched only againstorders in the workup book. Similarly, a FIFO order is an order that thecustomer wishes to have matched only against orders in the FIFO book.

A linked order is preferably a composite order that specifies a desireto buy or sell securities in either the workup book or the FIFO book. Asschematically shown in FIG. 7, in a preferred embodiment, thelinked-order message 702 may be analogized to a “boat” having a “frontseat” and a “back seat.” The “front seat” corresponds to a slot 704 inmessage 702 that is populated by terminal 104 with information thatidentifies the first leg of the linked order, such as a workup order inthe illustrative example of FIG. 7. The “back seat” of the boatcorresponds to a slot 706 in message 702 that is populated withinformation that identifies the second leg of the linked order, such asa FIFO order in the illustrative example in FIG. 7. As explained in moredetail below, in some preferred embodiments of the present invention,the system utilizes this message order to efficiently convey to matchingengine 102 the customer preference concerning whether the linked ordershould be first matched against the FIFO book or the workup book. Thesystem is preferably adapted so that the aggressor may designate himselfas (1) a “workup trader,” in which case terminal 104 will automaticallystructure all linked orders such that the workup leg of the order is inslot 704 to communicate a workup preference; or (2) as a FIFO trader, inwhich case terminal 104 will automatically structure all linked orderssuch that the FIFO leg of the order is in slot 704 to communicate a FIFOpreference.

Aspects of a preferred embodiment for generating and processing customerorders in accordance with this preferred embodiment are now described inconnection with FIG. 8. As shown in FIG. 8, a customer enters an orderto buy or sell a specified quantity of a specified security at aspecified price into terminal 104 via a suitable user interface whichwill typically comprise the display of terminal 104 and one or more ofthe input devices described above (step 802). Terminal 104 creates anappropriate order message in a predetermined format for communication tomatching engine 102 (step 804). The order message preferably comprisesinformation specifying any necessary or desired order parametersincluding the type of order (e.g., workup, FIFO, or linked), the tradingcommand (e.g., bid, offer, hit, or lift), the order quantity, the orderprice, and any other user preferences such as preferences concerning thetrading protocol to be applied to the order, that the user may wish tospecify.

Terminal 104 preferably transmits the order message to matching engine102 via communication link 106 (step 806). Filter 606 of matching engine102 examines the order to determine whether it is a workup order, a FIFOorder, or a linked order (step 808). If the order is a workup order, theorder is preferably matched against the workup order book in accordancewith the normal workup protocol applied by the system to orders in thatbook (step 810). Similarly, if the order is a FIFO order, the order ispreferably matched against the FIFO order book in accordance with thenormal FIFO protocol applied by the system to orders in that book (step812).

If, however, the order is a linked order, processing of the order isconducted in accordance with a third protocol (step 814). A number ofpreferred embodiments for processing linked orders will be describedbelow in connection with FIGS. 9-16. Notably, processing of linkedorders is preferably conducted in a manner such that the trader'smaximum exposure in terms of quantity of the specified security that maybe traded is that quantity set in the linked order. In particular, thematching engine 102 is adapted to monitor at all times whether anyquantity of any leg (e.g., the workup leg or the FIFO leg) of a linkedorder has been executed and to decrement the corresponding leg of thelinked order (e.g., the FIFO leg or the workup leg) by the same quantityto ensure that the trader never buys or sells more than the totalquantity specified in the linked order.

Turning now to FIG. 9, there is shown a first embodiment for processinglinked orders that will have the effect of promoting trading in the FIFOorder book at the expense of the workup order book. In the embodiment ofFIG. 9, the system determines whether or not the FIFO order of thelinked order pair is able to be matched with orders in the resting FIFOorder book (step 902). Thus, for example, if the order is an aggressiveFaS order to sell (commonly referred to as a “hit”) and there existsavailable passive volume in the FIFO order book, the command will resultin a transaction executed in the FIFO book. On the other hand, if, forexample, the order is a bid, and the system is one that will notautomatically match same-priced passive orders, and requires a hit orlift to trigger a trade in either the workup or FIFO order books, thenthis order will not result in any FIFO execution.

If the submitted order can be matched against the FIFO book, the orderis matched to the extent possible under the system's FIFO trading rules(step 904) and the system determines whether or not any size of the FIFOleg of the linked order remains or if the FIFO leg has been completelymatched (step 906). If there is no size remaining from the originallinked order, no attempt is made to match the workup leg of the linkedorder against the workup order book. Specifically, because the two legsof the order are linked, the customer is guaranteed that the totalamount of size that will be traded in the amount specified in either ofthe linked orders, the FIFO order or the workup order that make up thelinked order. Because all of the size in the FIFO order has beenmatched, the quantity of the linked workup order is reduced to zero andis not entered in the resting workup order book. Similarly, if theresting order against which the submitted order was matched is a linkedorder with a corresponding leg in the workup order book, the system willdecrement the size of the corresponding workup leg to ensure that thetotal quantity transacted by the trader who submitted the resting orderdoes not exceed the linked-order size.

By contrast if the received order is not able to create a match in theFIFO order book (step 902) or if after being matched to the extentpossible against the FIFO order book there is still size remaining inthe received order (step 906), the system proceeds to determine whetheror not a match is possible in the workup order book under the system'sworkup trading rules (step 908). If a match is possible, the workup legof the linked order pair is matched against the workup order book. Forexample, if the linked order is an aggressive order and no workup iscurrently ongoing in the workup book, or a workup is ongoing but thetrader that submitted the linked order is one with privileges totransact currently during the workup, then the linked order will beexecuted to the extent possible (step 910).

The system updates both the FIFO and workup order books to reflect anyremaining size of the submitted linked order or other changes to theorder books (step 912). More specifically, if any quantity of the linkedorder remains, a corresponding pair of orders is preferably added to theFIFO and workup books, respectively, in that amount. In a preferredembodiment, the orders are preferably assigned a common order number bythe system for identification. However, each order is also preferablyassigned its own unique identification number and shown to the market astwo separate orders in respective FIFO and workup line items displayedto traders via terminals 104.

Operation of the embodiment of FIG. 9 will now be illustrated by way oftwo trading examples:

Example 1

Trader A enters a linked order to buy 10M of financial instrument X at aprice of 100. The order filter 606 of the matching engine first looks tomatch Trader A's order in the FIFO order book. The FIFO order bookcontains a resting order of Trader D with an offer to sell 5M offinancial instrument X at 100. The order filter 606 matches Trader Awith Trader D for 5M of his order. The order filter 606 then looks tothe workup order book to mach the remaining 5M needed by Trader A.Assume that no workup is ongoing and that the workup order book containsa resting order of Trader B for 5M of financial instrument X at 100.Trader A and Trader B are matched and the parties enter into a workuptrade whereby Trader A is able to purchase its remaining 5M from TraderB as well as additional quantities.

Example 2

Trader D enters a linked order to buy 10M of financial instrument X at aprice of 100. The order filter 606 of the matching engine first looks tomatch Trader D's order in the FIFO order book. The FIFO order book doesnot contain a match for Trader D's order. Filter 606 next looks to theworkup order book to fill the order. The workup order book contains aresting order of Trader B for 10M of financial instrument X at 100.Trader D's order is matched in its entirety by Trader B and no workupensues.

A second preferred embodiment for processing linked orders in thepresent invention is shown in FIG. 10. This preferred embodiment isadapted to promote trading in the workup order book at the expense ofthe FIFO order book. In the embodiment of FIG. 10, the system determineswhether or not the workup order of the linked order pair is able to bematched with orders in the resting workup order book (step 1002). Thus,for example, if the order is a hit and there exists available passivevolume in the workup order book, the command will result in atransaction executed in the workup order book. On the other hand, if,for example, the trader order is a bid, and the system is one whichrequires a hit or lift to trigger a trade and will not automaticallymatch same-priced passive orders, then this order will not result in atransaction.

If the submitted order can be matched against the workup order book, theorder is matched to the extent possible under the system's workuptrading rules (step 1004) and the system determines whether or not anysize of the linked order remains or if it has been completely matched(step 1006). If there is no size remaining from the original linkedorder, processing of the linked order concludes, as noted above.

By contrast if the received order does not trigger a match in the workuporder book (step 1002) or if after being matched to the extent possibleagainst the workup order book there is still size remaining in thereceived order (step 1006), the system determines whether or not a matchis possible in the FIFO order book under the system's FIFO trading rules(step 1008). If a match is possible, the FIFO leg of the linked orderpair is matched against the FIFO order book. For example, if the linkedorder is an aggressive order and there is available passive volume tomatch in the FIFO order book, then the linked order will be executed tothe extent possible (step 1010).

The system updates both the workup and FIFO order books to reflect anyremaining size of the submitted linked order (step 1012). Morespecifically, if any quantity of the linked order remains, acorresponding pair of orders is preferably added to the workup and FIFOorder books, respectively, in that amount. As above, the orders arepreferably assigned a common order number by the system foridentification, but each order is also preferably assigned its ownunique identification number and shown to the market as two separateorders in respective workup and FIFO line items displayed to traders viaterminals 104.

Operation of the embodiment of FIG. 10 will now be illustrated by way oftwo trading examples:

Example 1

Trader A enters a linked order to buy 10M of financial instrument X at aprice of 100. Filter 606 of matching engine 102 first looks to matchTrader A's order in the workup order book. The workup order bookcontains a resting order of Trader B with an offer to sell 5M offinancial instrument X at 100. Filter 606 matches Trader A's order withTrader B's order. The parties enter into a workup trade wherein Trader Apurchases the full 10M of financial instrument X he requires from TraderB.

Example 2

Trader D enters a linked order to buy 10M of financial instrument X at aprice of 100. Filter 606 of matching engine 102 first looks to matchTrader D's order in the workup order book. The workup order bookcontains a resting order of Trader A for 10M of financial instrument Xat 100. Trader D's order is matched in its entirety by Trader A, and noworkup ensues.

A third preferred embodiment for processing linked orders in accordancewith the present invention is shown in FIG. 11. This preferredembodiment is designed to promote trading in the workup order book whilea workup is in progress, but otherwise to promote trading in the FIFOorder book. In the embodiment of FIG. 11, the system determines whetheror not a workup is in progress in the workup order book (step 1102). Ifa workup is not in progress, the linked order is processed as shown inFIG. 9 above, i.e., in accordance with the FIFO promoting embodiment(step 1104). Otherwise, the order will be processed in accordance withthe logic shown in FIG. 10 above, i.e., the workup promoting embodiment(step 1106). As will be recognized, in systems where certain traders aregranted exclusive trading privileges during a workup, this embodimenthas the effect of enhancing the value of such privileges since, while aworkup is in progress, the system will attempt to match incoming ordersfirst in the workup order book where a counterparty with exclusivetrading privileges will be able to satisfy at least some of its pendingsize.

Operation of the embodiment of FIG. 11 will now be illustrated by way oftwo trading examples:

Example 1

Trader A enters a linked order to buy 10M of financial instrument X at aprice of 100. The order filter 606 of matching engine 102 firstdetermines that a workup private phase is in process. Filter 606 thenlooks to match Trader A's order in the workup order book. The workuporder book contains a resting order of Trader B with an offer to sell 5Mof financial instrument X at 100. Trader A and Trader B are workupowners and their orders are thus transactable. The order filter 606matches Trader A with Trader B. The parties enter into a workup tradewherein Trader A purchases the 10M of financial instrument X from TraderB.

Example 2

Trader A enters a linked order to buy 10M of financial instrument X at aprice of 100. Filter 606 of matching engine 102 first determines that aworkup order is not in process. Filter 606 then looks to match TraderD's order in the FIFO order book. The FIFO order book contains a restingorder of Trader E for 10M of financial instrument X at 100. Trader A'sorder is matched in its entirety by Trader E and no workup ensues.

A fourth embodiment for processing linked orders in accordance with thepresent invention is shown in FIG. 12. In the embodiment of FIG. 12, anaggressor's preference for workup versus FIFO trading is taken intoaccount in determining whether or not to select workup promoting or FIFOpromoting processing for linked orders. As shown in FIG. 12, filter 606examines each incoming linked order to determine whether the orderdesignates a workup preference or a FIFO preference (step 1202). In apreferred embodiment, this preference may be communicated using thetechnique described above in connection with FIG. 7.

If the order specifies a FIFO preference, processing is conducted inaccordance with the FIFO promoting embodiment of FIG. 9 (step 1204). Ifthe order specifies a workup preference, processing is conducted inaccordance with the workup promoting embodiment of FIG. 10 (step 1206).Finally, if the received order does not specify a preference, the systempreferably defaults to any desired protocol selected by the systemoperator (step 1208).

Operation of the embodiment of FIG. 12 will now be illustrated by way oftwo trading examples:

Example 1

Trader A enters a linked order to buy 10M of financial instrument X at aprice of 100 with a workup trade preference. Filter 606 of matchingengine 102 first looks to match Trader A's order in the workup orderbook in accordance with Trader A's preference. The workup order bookcontains a resting order of Trader B with an offer to sell 5M offinancial instrument X at 100. Filter 606 matches Trader A with Trader Band the parties then enter a workup. Trader A has a remaining need for5M of financial instrument X. There are no matches in the workup orderbook for the remaining 5M, thus filter 606 looks to the FIFO order bookto mach the remaining 5M of Trader A. The FIFO order book contains aresting order of Trader D for 5M of financial instrument X at 100.Trader A and Trader D are matched for the remaining 5M needed by TraderA.

Example 2

Trader D enters a linked order to buy 10M of financial instrument X at aprice of 100 with a FIFO trade preference. Filter 606 first looks tomatch Trader D's order in the FIFO order book. The FIFO order book doesnot contain a match for Trader D's order. Filter 606 next looks to theworkup order book to fill the order. The workup order book contains aresting order of Trader B for 10M of financial instrument X at 100.Trader D's order is matched in its entirety by Trader B and a workupensues.

A fifth embodiment for processing linked orders in accordance with thepresent invention is shown FIG. 13. In the embodiment of FIG. 13, thesystem determines whether the highest ranked order able to be matchedwith the incoming linked order is found in the FIFO order book or in theworkup order book (1302). Highest ranked bid/offer is preferablydetermined on a price and then time basis. Where the highest rankedpassive order is in the FIFO book, the system processes the receivedorder in accordance with the processing of FIG. 9, FIFO promoting(1304). By contrast, where the highest ranked order is in the workuporder book, the system processes the received order in accordance withthe logic of FIG. 10, workup promoting (1306). Finally, if the bestorder in the FIFO and workup order books are the same in both time andprice priority, i.e., if they represent a linked order submitted by asingle trader, then the system preferably defaults to any desiredprotocol selected by the system operator (1308). In a preferredembodiment this default protocol may take account of a storedFIFO/workup preference for the resting linked order. More specifically,where the trader who submitted the resting linked order specified a FIFOpreference for the order, processing may default to the logic of FIG. 9,FIFO promoting. Conversely, where the trader who submitted the restinglinked order specified a workup preference, processing may default tothe logic of FIG. 10, workup promoting.

Operation of the embodiment of FIG. 13 will now be illustrated by way oftwo trading examples:

Example 1

Trader A enters a linked order to buy 10M of financial instrument X at aprice of 100. The system looks to both the FIFO order book and theworkup order book to determine which order book holds the highest rankedorder based on price and time. The FIFO order book holds the highestranked order, thus the system first looks to match Trader A's order inthe FIFO order book. The FIFO order book contains a resting order forTrader D for 20M of financial instrument X at 100. The system matchesTrader A's order with Trader D's order to execute a FIFO trade for 10Mof financial instrument X, leaving Trader D with a remainder of 10M.

Example 2

Trader A enters a linked order to buy 10M of financial instrument X at aprice of 100 with a workup trade preference. The system looks to boththe FIFO order book and the workup order book to determine which orderbook holds the highest ranked order based on price and time. The workuporder book holds the highest ranked order, thus the system first looksto match Trader A's order in the workup order book. The workup orderbook contains a resting order of Trader B for 10M of financialinstrument X at 100. Trader A's order is matched with Trader B and aworkup trade ensues.

A sixth embodiment for processing linked orders in accordance with thepresent invention is shown in FIG. 14. In the embodiment of FIG. 14, thepreferences of both the passive participant and the aggressorparticipant are considered in determining whether or not orderprocessing should adopt a workup promoting or FIFO promoting protocol.In particular as shown in FIG. 14, the system first determines whetherthe passive order to be matched has a preference that is FIFO or none(step 1402). If so, processing is conducted in accordance with FIG. 9,FIFO promoting (step 1404). Otherwise, if the resting order preferenceis workup, the system determines the preference associated with thereceived order, if any (step 1406). If the preference is either FIFO orno preference, processing proceeds to the FIFO promoting embodiment ofFIG. 9. Otherwise, if the received order has a workup preference, thenprocessing proceeds to the workup promoting embodiment of FIG. 10 (step1408). Thus, it will be recognized, the embodiment of FIG. 14,implements the workup promoting embodiment of FIG. 10 only if thereceived order and the resting order to be matched both specify a workuppreference.

Operation of the embodiment of FIG. 14 will now be illustrated by way oftwo trading examples:

Example 1

Trader A, a trader with a workup preference, enters a passive order for10M of financial instrument X at a price of 100. The system receives anorder from Trader D, a trader with a FIFO preference, that matchesTrader A's order. The system matches Trader A's order with Trader D'sorder for a FIFO trade.

Example 2

Trader A, a trader with a workup preference, enters a passive order for10M of financial instrument X at a price of 100. The system receives anorder from Trader B, a trader with a workup preference, that matchesTrader A's order. Trader A's order is matched with Trader B and a workuptrade ensues.

A seventh embodiment for processing linked orders in accordance with thepresent invention is shown in FIG. 15. As in the embodiment of FIG. 14,the preferences of both the passive participant and the aggressorparticipant are considered in this embodiment. In particular, as shownin FIG. 15, the system first determines whether the resting order has apreference that is workup or none (step 1502). If so, processing isconducted in accordance with the workup promoting embodiment of FIG. 10(step 1504). Otherwise, if the resting order preference is FIFO, thesystem determines the received order's preference, if any (step 1506).If the preference is either workup or no preference, processing proceedsto the workup promoting embodiment of FIG. 10. Otherwise, if thereceived order's preference is FIFO, processing proceeds to the FIFOpromoting embodiment of FIG. 9. Thus, it will be recognized, theembodiment of FIG. 15 implements the FIFO promoting embodiment of FIG. 9only if the aggressor and the passive participant both specify a FIFOpreference.

Operation of the embodiment of FIG. 15 will now be illustrated by way oftwo trading examples:

Example 1

Trader D, a trader with a FIFO preference, enters a passive order for10M of financial instrument X at a price of 100. The system receives anorder from Trader A, a trader with a workup preference, that matchesTrader A's order. The system matches Trader A's order with Trader D'sorder for a workup trade.

Example 2

Trader D, a trader with a FIFO preference, enters a passive order for10M of financial instrument X at a price of 100. The system receives anorder from Trader E, a trader with a FIFO preference, that matchesTrader D's order. Trader D's order is matched with Trader E as a FIFOtrade.

An eighth embodiment for processing linked orders in accordance with thepresent invention is show in FIG. 16. In particular, as shown in FIG.16, the system first determines whether the resting order to be matchedhas a preference that is FIFO or none (step 1602). If so, processing isconducted in accordance with FIG. 9, FIFO promoting (step 1604).Otherwise, if the resting order preference is workup, the systemdetermines the preference associated with the received order, if any(step 1606). If the preference is either FIFO or no preference, theorders are matched and a workup is triggered with no private phase.Instead, a workup is preferably commenced that begins with a publicphase during which the transaction price at which executions occur isfixed but no traders are granted exclusive trading privileges (step1610). Otherwise, if the received order has a workup preference, thenprocessing proceeds to the workup promoting embodiment of FIG. 10 (step1612).

Operation of the embodiment of FIG. 16 will now be illustrated by way oftwo trading examples:

Example 1

Trader D enters an order to buy 10M of financial instrument X at a priceof 100 with a FIFO preference. Filter 606 looks to match Trader D'sorder in the FIFO order book, however, the FIFO order book does notcontain a match. The workup order book contains a resting order ofTrader A with an offer to sell 15M of financial instrument X at 100. Thefilter 606 matches Trader D with Trader A. Trader A has a remainder of5M and a workup public phase is commenced.

Example 2

Trader A enters an order to buy 10M of financial instrument X at a priceof 100 with a workup preference. Filter 606 looks to match Trader A'sorder in the workup order book. The workup order book contains a restingorder of Trader B for 10M of financial instrument X at a price of 100.Filter 606 matches Trader A's order with Trader B and a workup tradeensues.

As will be recognized, implementation of the present invention may attimes lead to instances where order books 602, 604 have the same prices,but with different orders in the queue. An example is as follows: Inboth the Workup and FIFO order books Trader A and Trader B enter linkedbids for 10 million shares of financial instrument X at a price of 100,trader A having time priority. Assume Trader C hits Trader A's bid for10 million shares and this transaction is conducted in accordance with aworkup protocol. Trader A then buys 10 million shares from Trader C.During the private phase of the workup, Trader A increases size and addsanother 10 million shares (Trader B has yet to buy). At this point, ifno additional matches happen during the private phase of the workup, theorder books would preferably be updated as follows: the workup orderbook would remain the same with the Trader A and B having the same bidand with Trader A having time priority because Trader A, as the firstbidder, retains priority during the private phase of the workup. In theFIFO order book, however, while the bid's size and price remain thesame, Trader B would now be placed at the top of the queue as the orderof the queue in FIFO is based on pure price time priority. Despite thesedifferences, traders will be operating in a fair and efficient marketwith quicker execution. The benefits of both protocols will help draw alarger liquidity base for the trading platform.

In a preferred embodiment, traders are given the option via a userinterface to configure their individual pages at their terminals 104 todisplay the traditional workup order book, the FIFO order book, or both.The trader is also preferably able to establish preference settings todesignate when orders should be submitted as workup-only, FIFO-only, orlinked orders.

More specifically, in a preferred embodiment, terminals 104 areprogrammed to permit the trader to set his or her terminal to display,in a first display area, order and transaction data concerning anyselected group of financial instruments transacted via matching engine102 in accordance with a trader's preferred trading protocol (e.g., FIFOor workup), and to display, in a second display area, order andtransaction data concerning the same or other financial instrumentstransacted via matching engine 102 in accordance with an alternativetrading protocol selected by the trader. Alternatively, the trader mayselect to display any one such area without the other. The system isalso preferably adapted to provide traders with an option to configureorder and transaction data for two trading protocol preferences within asingle display area. For example, the display area may be organized suchthat order and transaction data associated with FIFO are located in onesection of the display area, while order and transaction data associatedwith workup are located in a separate section of the display area.Alternatively, the transaction data may appear in the same section ofthe display area with appropriate designations associated with the orderand transaction data (e.g., a W designation before workup orders or an Fdesignation before FIFO order) to differentiate between the differenttypes of orders and transactions. Terminals 104 are further preferablyadapted to permit traders to automatically enter orders with a workuppreference via an interface associated with a workup display area, andto automatically enter orders with a FIFO preference via an interfaceassociated with a FIFO display area.

Where a display area is configured to display workup orders andtransactions, the display area preferably provides a signal to thetrader when an order causes the system to enter a private workup phase.In addition, the display area in such a case also preferably provides asignal to the trader when an order is executed under a FIFO protocolthat exceeds an original order size.

In a preferred embodiment, the system is programmed to permit traders toenter a linked order transaction as a quotation-type transaction.Traders are thus able to re-quote a linked order and the system willreplace the previous order that was quoted so long as that order numberis specified by the trader. The trader is preferably able to enter thefollowing information for an order: the validity time, client, customerinformation in a free text field, exchange info and bid or askinformation. The system is also preferably adapted to receive userqueries via the user interface to identify a customer's linked orders,and whether such orders are active or inactive. Deletion of one leg of alinked order by a trader, preferably deletes both legs concurrently. Aproxy function is also preferably provided to enable a trader to enter alinked order on behalf of another trader within the same firm and toquery the system to find information on an order she has entered on thebehalf of another trader.

In a preferred embodiment, matching engine 102 may be adapted to ensurethat crossed markets are not created by rejecting orders that wouldcreate such a condition. In a preferred embodiment, the system isadapted to handle FaS and FaK order types in connection with workuptransactions, but FaK orders may not be matched against the FIFObid/offer on the follow or (3) matched for the entire size. However, FaKorders that are entered into the workup market are preferably displayedin the workup market as the trader is trying to buy/sell additional sizeduring the trade and, since this is an executable order during privateand public phase, are displayed in the FIFO market as well. FaK orderspreferably appear in both order books during the length of the privateand public phases. An unfilled linked FaS order in FIFO preferablyenters linked orders as a bid or offer in each order book.

In a preferred embodiment, the system is adapted to provide “first andthird” functionality (an order that gets broken down into two or morepieces) and to process such orders against both order books. First andthird orders occur when a trader enters an order and then increases thesize of the order after others have joined the trade or offered along.If the trader increases the size of the order during the private phaseof the workup, the trader preferably remains at the top of the queue andthe entire order retains its status as number one in the queue. If,however, the trader increases the order during the public phase, theorder is broken into two pieces. If this occurs, after a partialexecution, all of the remaining size of the order is moved to the top ofthe queue for the workup owner who is working first and third orders.After a partial trade, a second buyer or seller wishing to trade thebalance will not wait on the workup owner.

As those skilled in the art will recognize, it is possible in thepresent system for multiple price levels to trade simultaneously in theFIFO and workup markets. For example, if a bid gets hit in the workuporder book for the total size, a bid at a lower level in the FIFO orderbook is free to trade and can be hit while the other higher level isstill trading in workup.

In a preferred embodiment, minimum hold times are established forsubmitted orders. The minimum hold time can preferably be overridden bythe linked orders functionality when one of the orders is either tradedor removed from the system. This would have an impact on those usingFIFO rules while running a pricing model or hedging tool. For example,Trader A inputs a linked order bid for a particular instrument with aminimum hold time of five seconds. This order is placed in both the FIFOand workup order books. One second after Trader A's order is placed inthe order books, Trader B places an offer for the instrument in the FIFOorder book and this order is matched with Trader A's bid. Trader A'sorder is removed from the workup order book although it is still subjectto the order minimum hold time. Preferably, however, the system will notalways override the minimum hold time. If in the previous example, therehad been a higher ranked bid in the FIFO order book, but not the workuporder book, Trader A's bid in the FIFO order book would not be subjectto the minimum hold time. The order in the workup order book, however,would still be subject to the minimum hold time.

In a preferred embodiment, all bids and offers are clear to trade whenentered. In an alternative preferred embodiment, clearing timefunctionality may be provided. If hidden size capability is provided,all shown size preferably trades first and first buyers, sellers' addedand hidden size takes priority over the rest of the stack.

Orders may preferably be deleted during either the public or privatephase of a workup. Participants that place orders that are queued in awork-up trading session and are waiting for the order to trade based onthe rules of the work-up protocol may preferably cancel the orders atany time. Additional buy and sell orders may preferably be enteredduring the workup by original participants and others wishing to enterthe trade. All of these orders are preferably converted to the workupprice during the trade. New bids and offers may also preferably beentered at levels above and below the workup price, but new bids andoffers at the workup price are preferably prevented from being enteredduring this phase.

Preferably, initial executions for partials and whole size, if executedin FIFO trading, will not flash on either the FIFO or workup displaypages. Executions for more than the shown size preferably leave a storedfollow in FIFO trading and create a flash in workup trading.

It should be noted that although certain of the order processingalgorithms have been illustrated in accordance with an integrated orderbook embodiment and others with separate workup and FIFO order books,those skilled in the art will recognize that the order processingfunctionalities described may be achieved with either order bookconfiguration by storing appropriate preference information for eachresting order.

While the invention has been described in conjunction with specificembodiments, it is evident that numerous alternatives, modifications,and variations will be apparent to those skilled in the art in light ofthe foregoing description.

1. An interface to a central computer system for facilitating electronictrading of a financial instrument by a trader in accordance with aplurality of trading protocols, comprising: a first display area forlisting a first set of said financial instrument in accordance with saidtrader's preferred trading protocol, said trading protocol being one ofthe workup protocol or a FIFO protocol, said first set of financialinstrument being maintained with a first order book controlled by saidcentral computer system; and a second display area for listing a secondset of said financial instrument in accordance with said trader'salternative trading protocol, said trading protocol being the other ofthe workup protocol or the FIFO protocol, said second set of financialinstrument being maintained with a second order book controlled by saidcentral computer system; said first order book and said second orderbook being physically or logically separated by said computer system andsaid first set of said financial instrument and said second set of saidfinancial instrument comprising a pool of said financial instrument. 2.The interface of claim 1, wherein a trader using any one of saidplurality of trading protocols can use either said first display or saidsecond display to trade any one of said financial instrument.
 3. Theinterface of claim 1, wherein said trader may configure said firstdisplay area or said second display area to display information based ona workup protocol, a FIFO protocol, or both protocols.
 4. The interfaceof claim 1, wherein said first display area is configured according to aworkup protocol and wherein said first display area provides a signal tosaid trader when an order enters a private phase of said workupprotocol.
 5. The interface of claim 1, wherein said first display areais configured according to a workup protocol and wherein said firstdisplay area provides a signal to said trader when an order is executedunder a FIFO protocol that exceeds an original order size.